XI: 36, 518-528, LNM 581 (1977)
YOR, Marc
Sur quelques approximations d'intégrales stochastiques (
Martingale theory)
The investigation concerns the limit of several families of Riemann sums, converging to the Ito stochastic integral of a continuous process with respect to a continuous semimartingale, to the Stratonovich stochastic integral, or to the Stieltjes integral with respect to the bracket of two continuous semimartingales. The last section concerns the stochastic integral of a differential form
Comment: Stratonovich stochastic integrals of differential forms have been extensively studied in the context of stochastic differential geometry: see among others Ikeda-Manabe
Publ. RIMS, Kyoto Univ. 15, 1979; Bismut, Mécanique Aléatoire, Springer LNM~866, 1981; Meyer
1505Keywords: Stochastic integrals,
Riemann sums,
Stratonovich integralsNature: Original
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